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Data Characteristics for High-Frequency Trading Systems

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Standard Standard

Data Characteristics for High-Frequency Trading Systems. / Vanstone, Bruce; Hahn, Tobias.
Handbook of High Frequency Trading. ed. / G N Gregoriou. Netherlands: Elsevier, 2015. p. 47-57.

Research output: Chapter in Book/Report/Conference proceeding › Chapter

HarvardHarvard

Vanstone, B & Hahn, T 2015, Data Characteristics for High-Frequency Trading Systems. in GN Gregoriou (ed.), Handbook of High Frequency Trading. Elsevier, Netherlands, pp. 47-57. https://doi.org/10.1016/B978-0-12-802205-4.00003-8

APA

Vanstone, B., & Hahn, T. (2015). Data Characteristics for High-Frequency Trading Systems. In G. N. Gregoriou (Ed.), Handbook of High Frequency Trading (pp. 47-57). Elsevier. https://doi.org/10.1016/B978-0-12-802205-4.00003-8

CBE

Vanstone B, Hahn T. 2015. Data Characteristics for High-Frequency Trading Systems. Gregoriou GN, editor. In Handbook of High Frequency Trading. Netherlands: Elsevier. pp. 47-57. https://doi.org/10.1016/B978-0-12-802205-4.00003-8

MLA

Vanstone, Bruce and Tobias Hahn "Data Characteristics for High-Frequency Trading Systems". Gregoriou, G N (ed.). Handbook of High Frequency Trading. Netherlands: Elsevier. 2015, 47-57. https://doi.org/10.1016/B978-0-12-802205-4.00003-8

VancouverVancouver

Vanstone B, Hahn T. Data Characteristics for High-Frequency Trading Systems. In Gregoriou GN, editor, Handbook of High Frequency Trading. Netherlands: Elsevier. 2015. p. 47-57 doi: 10.1016/B978-0-12-802205-4.00003-8

Author

Vanstone, Bruce ; Hahn, Tobias. / Data Characteristics for High-Frequency Trading Systems. Handbook of High Frequency Trading. editor / G N Gregoriou. Netherlands : Elsevier, 2015. pp. 47-57

RIS

TY - CHAP

T1 - Data Characteristics for High-Frequency Trading Systems

AU - Vanstone, Bruce

AU - Hahn, Tobias

PY - 2015/2/4

Y1 - 2015/2/4

N2 - Like all trading systems, high-frequency trading systems work by exploiting inefficiencies in the pricing process. Before embarking on designing a high-frequency trading system, it is important to confirm that the price data for the instrument you intend to trade exhibits inefficiencies at the time frame you intend to exploit. Tests for randomness and market efficiency should be conducted at the required time frame to confirm that the instrument is not efficient at that time frame. The results of these tests also give some direction to the future style of trading system that is likely to be successful in the required time frame.

AB - Like all trading systems, high-frequency trading systems work by exploiting inefficiencies in the pricing process. Before embarking on designing a high-frequency trading system, it is important to confirm that the price data for the instrument you intend to trade exhibits inefficiencies at the time frame you intend to exploit. Tests for randomness and market efficiency should be conducted at the required time frame to confirm that the instrument is not efficient at that time frame. The results of these tests also give some direction to the future style of trading system that is likely to be successful in the required time frame.

U2 - 10.1016/B978-0-12-802205-4.00003-8

DO - 10.1016/B978-0-12-802205-4.00003-8

M3 - Chapter

SN - 9780128022054

SP - 47

EP - 57

BT - Handbook of High Frequency Trading

A2 - Gregoriou, G N

PB - Elsevier

CY - Netherlands

ER -